V-Lab
abrdn Physical Gold Shares ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
24.88%
increased by 2.91%
1 Week
24.72%
increased by 2.75%
1 Month
24.12%
increased by 2.15%
Analysis last updated: Monday, September 28, 2026 at 09:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 56 trading days, meaning a shock loses half its impact after approximately 56 days. Returns follow a Student-t distribution with v = 5.29 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 56-day half-lifev = 5.29 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1646 | 0.91 |
| αARCH | 0.0522 | 5.45*** |
| βGARCH | 0.9877 | 66.52*** |
| νDF | 5.2871 | 1.07 |
0.988
Persistence56d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1646 | 0.91 |
α ARCH Response to squared shocks | 0.0522 | 5.45*** |
β GARCH Volatility persistence | 0.9877 | 66.52*** |
ν DF Student-t tail thickness | 5.2871 | 1.07 |
Persistence:
0.988
Half-life:
56 days
Other abrdn Physical Gold Shares ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs